Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 31
... standard deviation is 0.2 . The riskless rate of return is 0.05 per year . Transaction costs and bid - ask spread are com- puted at the rate of 1 % and 1.5 % per stock and call dollar transacted , respectively . The objective function ...
... standard deviation is 0.2 . The riskless rate of return is 0.05 per year . Transaction costs and bid - ask spread are com- puted at the rate of 1 % and 1.5 % per stock and call dollar transacted , respectively . The objective function ...
Página 296
... standard normal distribution . The value of the transformed N ( 0 , 1 ) test statistics is the number of standard deviations used to assess the level of rejection or nonrejection for the particular null hypothesis of interest ...
... standard normal distribution . The value of the transformed N ( 0 , 1 ) test statistics is the number of standard deviations used to assess the level of rejection or nonrejection for the particular null hypothesis of interest ...
Página 298
... standard deviations . 2 ) Gaussianity - If gaussianity is not rejected , then the average chi - squared values for ... standard deviations , implying that the time series had deterministic properties . The six Japanese Yen / U . S ...
... standard deviations . 2 ) Gaussianity - If gaussianity is not rejected , then the average chi - squared values for ... standard deviations , implying that the time series had deterministic properties . The six Japanese Yen / U . S ...
Contenido
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Genetic Regression | 1 |
Review Papers | 4 |
High Performance Algorithms for Latticebased Derivative Pricing Models W Li University | 7 |
Derechos de autor | |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
A.M. Best abstract payoff analysis approximation autocorrelation average backpropagation barrier option Bermudan call and put coefficients companies components Computer data mining data set database decision delta-hedging denote derivative distribution dynamics equation error estimate evaluate example exchange rate expert filter financial time series forecasting foreign exchange market FOREIGN EXCHANGE OPTION fraudulent function future fuzzy G G G GARCH Gaussian Genetic Algorithms hedging implied volatility input Journal Kelvin transform kurtosis layer linear mathematical models mean measure method neural network nodes nonlinear operator optimization option pricing output parameters performance period polynomial portfolio prediction predictor price change problem profit put options ratio regression returns risk management sample SCINAPSE Sharpe ratio simulation skewness specific statistical stochastic strategy techniques template test set ticks time-scales training set transaction costs transform tree modeling trigonometric polynomial true price underlying validation set variables variance vector volatility wavelet zero